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TRUST00007721292013-06-282013-06-30<b>GMO INTERNATIONAL INTRINSIC VALUE FUND </b><b>Investment objective </b>High total return.<b>GMO U.S. GROWTH FUND </b><b>Fees and expenses </b><b>Investment objective </b><b>GMO REAL ESTATE FUND</b><b>Investment objective </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.Long-term capital growth.<b>GMO INTERNATIONAL SMALL COMPANIES FUND </b>High total return.<b>Investment objective </b><b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>GMO ASSET ALLOCATION INTERNATIONAL SMALL COMPANIES FUND</b>High total return.<b>Fees and expenses </b><b>Fees and expenses </b>The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.The tables below describe the fees and expenses that you may pay if you buy and hold shares of the Fund.falseHigh total return.<b>Fees and expenses </b><b>Fees and expenses </b>The tables below describe the fees and expenses that you may pay if you buy and hold shares of the Fund.The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.<b>Shareholder fees </b><br/>(fees paid directly from your investment)0.00040.00040.0004<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.0050.00760.00690.0063<b>GMO TAX-MANAGED INTERNATIONAL EQUITIES FUND </b>2013-02-28<b>GMO INTERNATIONAL CORE EQUITY FUND </b>0.00650.0059<b>Investment objective </b>0.005High total return.<b>Fees and expenses </b><b>Shareholder fees </b><br/>(fees paid directly from your investment)The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.00720.00650.0059<b>GMO U.S. INTRINSIC VALUE FUND</b><b>GMO U.S. CORE EQUITY FUND</b><b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)746660<b>GMO INTERNATIONAL LARGE/MID CAP VALUE FUND </b><b>Investment objective </b><b>Investment objective </b>High total return.High total return.241219200<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Fees and expenses </b><b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Example </b><b>Investment objective </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>GMO INTERNATIONAL GROWTH EQUITY FUND</b>423385352<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Portfolio turnover </b><b>Investment objective </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 47% of the average value of its portfolio.<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)Long-term capital growth.High total return.949866794<b>Principal investment strategies </b>0.0060.00330.0013<b>Fees and expenses </b>0.0015<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.0045The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.0.00150.04540.00780.00930.0018<b>Investment objective </b>0.006-0.00450.00930.005<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)-0.00170.00480.00140.00150.0076-0.00110.0047High after-tax total return.0.00890.050.0067The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Index. <br /><br />The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br />As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to countries other than the U.S., including both developed and emerging countries. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments (see &#8220;Name Policies&#8221;). The terms &#8220;equity securities&#8221; and &#8220;equity investments&#8221; refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. <br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.<b>Principal risks of investing in the Fund </b>-0.00140.0031<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.0015<b>Portfolio turnover </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 54% of the average value of its portfolio.<b>Principal investment strategies </b>0.0081<b>Example </b>0.00310.00310.00310.0031<b>Example </b>0.0031This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.00150.0010.000850.000550.0050.005490.0075251The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 40% of the average value of its portfolio.<b>Portfolio turnover </b>4710.00030.00030.00030.000311020.00490.00440.00430.004<b>Principal investment strategies </b>0.00150.0015-0.00030.0009-0.0003-0.0003-0.0003179-0.04533840.00460.00410.0040.0037606-0.0005-0.000512460.01271273285461172The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Value Index. <br/><br/>The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br/><br/>In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br/><br/>As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br/><br/>The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to countries other than the U.S., including both developed and emerging countries. The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. <br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.<b>Principal risks of investing in the Fund </b><b>Portfolio turnover </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 25% of the average value of its portfolio.0.25-0.00810.0046<b>Principal investment strategies </b><b>Portfolio turnover </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 76% of the average value of its portfolio.<b>Principal investment strategies </b><b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Index (after tax). <br/><br/>The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br/><br/> In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br/><br/> The Manager considers the tax effects of a proposed trade in conjunction with the return forecast of the identified equity securities, and their potential contribution to the overall portfolio. The Manager also may consider the Fund&#8217;s realized and unrealized gains and losses, and current market conditions, because these factors also influence the decision to buy or sell securities. <br/><br/> As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br/><br/> The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to countries other than the U.S., including both developed and emerging countries. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments (see &#8220;Name Policies&#8221;). The terms &#8220;equity securities&#8221; and &#8220;equity investments&#8221; refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. <br/><br/> The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Small Cap Index.<br/><br/>The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy.<br/><br/>In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time.<br/><br/>As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities.<br/><br/>The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of non-U.S. small companies. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in securities of small companies (see &#8220;Name Policies&#8221;). For these purposes, non-U.S. companies are companies tied economically to countries other than the U.S., including both developed and emerging countries (&#8220;Non-U.S. Companies&#8221;). The Manager considers &#8220;small companies&#8221; to be all Non-U.S. Companies other than (i) the largest 500 companies in developed countries based on full, non-float adjusted market capitalization and (ii) any company in an emerging country with a full, non-float adjusted market capitalization that is greater than or equal to that of the smallest excluded developed country companies. A company&#8217;s full, non-float adjusted market capitalization includes all of the company&#8217;s outstanding equity securities. As of May 31, 2013, the market capitalization of the outstanding common stock and other stock-related securities of the largest company included within the Fund&#8217;s definition of small companies was approximately $6.0 billion. For purposes of the Fund&#8217;s investments, the term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts.<br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.4768323<b>Principal risks of investing in the Fund </b>619238June 30, 20141463422<b>Example </b>The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI U.S. REIT Index.<br/><br/>The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy.<br/><br/>In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, industry and sector exposure, and market capitalization. The factors considered and investment methods used by the Manager can change over time. <br/><br/>As a substitute for direct investments, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, and swap contracts. In addition, the Fund may lend its portfolio securities. <br/><br/>The Fund has a fundamental policy to concentrate its investments in real estate-related investments. Under normal circumstances, the Fund invests directly and indirectly (e.g., through underlying funds or derivatives) at least 80% of its assets in real estate investment trusts (&#8220;REITs&#8221;) and other real estate-related investments (see &#8220;Name Policies&#8221;). REITs are managed vehicles that invest in real estate or real estate-related investments (both equity and fixed income securities). For purposes of this Prospectus, the term &#8220;real estate-related investments&#8221; includes securities of REITs and of companies that derive at least 50% of their revenues and profits from, or have at least 50% of their assets invested in, (i) the development, construction, management, or sale of real estate or (ii) real estate holdings. The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity REITs and income trusts. <br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares. </li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>Performance </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>Principal risks of investing in the Fund </b><b>If you sell your shares</b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221; <ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. </li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments. </li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>Performance </b><b>Example </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark and an additional broad-based international stock index selected by the Manager. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>If you do not sell your shares</b><b>Portfolio turnover </b><b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 53% of the average value of its portfolio.192This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Principal investment strategies </b><b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 3138948<b>Example </b>June 30, 2014140This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:332109321394752<b>Portfolio turnover </b>Highest Quarter: 22.30% (2Q2009)<br/>Lowest Quarter: &#8211;19.92% (3Q2008)<br/>Year-to-Date (as of 3/31/13): 2.88%The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not yet commenced operations as of the date of this Prospectus, the Fund&#8217;s portfolio turnover rate is not available.<b>Example </b><b>Example </b><b>Principal investment strategies </b><b>Principal risks of investing in the Fund </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:956The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. There can be no assurance that the Fund&#8217;s tax management strategies will be effective, and you may incur tax liabilities that exceed your economic return. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221; <ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. GMO&#8217;s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future tax legislation and regulation.</li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Shares of small- and mid-cap companies often have lower trading volumes than those of larger companies and a limited number or no market makers. Thus, the Fund may be unable to sell a large position in shares of small- and mid-cap companies or unwind derivative positions on them at desirable prices.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012<b>Performance </b>47424138The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is computed by the Manager) and a broad-based international stock index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.0.4351The Manager pursues investment strategies for the Fund that are intended to complement the strategies being pursued by the Manager in Asset Allocation Funds or accounts. Accordingly, the Fund is not a standalone investment. <br /><br />The Manager typically seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities of non-U.S. small companies. <br /><br />The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time.<br/><br/> As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of non-U.S. small companies. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in securities of small companies (see &#8220;Name Policies&#8221;). For these purposes, non-U.S. companies are companies tied economically to countries other than the U.S., including both developed and emerging countries (&#8220;Non-U.S. Companies&#8221;). The Manager considers &#8220;small companies&#8221; to be all Non-U.S. Companies other than (i) the largest 500 companies in developed countries based on full, non-float adjusted market capitalization and (ii) any company in an emerging country with a full, non-float adjusted market capitalization that is greater than or equal to that of the smallest excluded developed country companies. A company&#8217;s full, non-float adjusted market capitalization includes all of the company&#8217;s outstanding equity securities. As of May 31, 2013, the market capitalization of the outstanding common stock and other stock-related securities of the largest company included within the Fund&#8217;s definition of small companies was approximately $6.0 billion. For purposes of the Fund&#8217;s investments, the term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. <br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.1540.2527767673The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221; <ul type = "square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type = "square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type = "square"><li> Liquidity Risk &#8211; Shares of small- and mid-cap companies often have lower trading volumes than those of larger companies and a limited number or no market makers. Thus, the Fund may be unable to sell a large position in shares of small- and mid-cap companies or unwind derivative positions on them at desirable prices.</li></ul><ul type = "square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type = "square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type = "square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type = "square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type = "square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type = "square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type = "square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type = "square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type = "square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the Russell 1000 Value Index. <br /><br />The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, industry and sector exposure, and market capitalization. The factors considered and investment methods used by the Manager can change over time. <br /><br />As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to the U.S. (see &#8220;Name Policies&#8221;). The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. <br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.138135125237237227<b>Performance </b><b>Principal risks of investing in the Fund </b>271243238221The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is a broad-based index) and a composite index computed by the Manager. Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart. Returns in the table reflect current purchase premiums and redemption fees. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.6135525395020.1426820.00380.00380.0038255<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 310.00150.00090.0005568<b>Performance </b><b>Principal risks of investing in the Fund </b>0.00050.00050.0005The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<br/><br/><ul type="square"><li>Real Estate Risk &#8211; Real estate-related investments may decline in value as a result of factors affecting the real estate industry, such as the supply of real property in particular markets, changes in zoning laws, delays in completion of construction, changes in real estate values, changes in property taxes, levels of occupancy, adequacy of rent to cover operating expenses, and local and regional market conditions. The value of real estate-related investments also may be affected by changes in interest rates and social and economic trends. REITs are subject to the risk of fluctuations in income from underlying real estate assets, their inability to manage effectively the cash flows generated by those assets, prepayments and defaults by borrowers, and failing to qualify for the special tax treatment granted to REITs under the Internal Revenue Code of 1986, as amended, and/or to maintain exempt status under the Investment Company Act of 1940, as amended.</li></ul><ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Models that have demonstrated an ability to explain prior market data often fail to accurately predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in sectors and industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated. The Fund&#8217;s concentration in real estate-related investments makes the Fund&#8217;s net asset value particularly susceptible to economic, market, political, and other developments affecting the real estate industry.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, credit risk, and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market&#8217;s uncertainty about the value of a fixed income investment (or class of fixed income investments).</li></ul><ul type="square"><li>Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security.</li></ul><ul type="square"><li>Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer&#8217;s, guarantor&#8217;s, or obligor&#8217;s failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>238The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.4220.00580.00520.00499560.6744480.2704-0.0005-0.0005-0.00051093213947520.00530.00470.0044827676730.24662552372372270.2736<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 310.0763-0.42370.33440.2118The Fund has a fundamental policy to concentrate its investments in real estate-related investments.-0.145566600.2398221202Many factors can affect this value, and you may lose money by investing in the Fund.3893566660Highest Quarter:&nbsp; 22.40% (2Q2009)<br/> Lowest Quarter: &#8211;19.13% (3Q2011)<br/> Year-to-Date (as of 3/31/13): 2.15%0.253387780522120247424138The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.389356154138135125<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20122712432382210.0989877805613552539502<b>Performance </b>Highest Quarter: 32.07% (2Q2009)<br/>Lowest Quarter: &#8211;21.36% (3Q2011)<br/>Year-to-Date (as of 3/31/13): 8.69%The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index and the Fund&#8217;s benchmark, which more accurately reflects the Fund&#8217;s investments. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.0.14310.17690.17320.14430.14010.10210.17690.17320.14470.17690.1732Highest Quarter: 21.51% (2Q2009) <br/>Lowest Quarter: &#8211;20.34% (3Q2008) <br/>Year-to-Date (as of 3/31/13): 2.86%-0.38780.18650.0759<b>Average Annual Total Returns </b> <br/>Periods Ending December 31, 20120.08460.08570.08210.08530.07640.07640.08570.0821-0.1033June 30, 20140.1443540.06250.052848450.04270.07870.06310.06340.06830.05010.06690.05630.0457The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. </li></ul><ul type="square"><li> Liquidity Risk &#8211; Shares of small- and mid-cap companies often have lower trading volumes than those of larger companies and a limited number or no market makers. Thus, the Fund may be unable to sell a large position in shares of small- and mid-cap companies or unwind derivative positions on them at desirable prices. </li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. </li></ul><ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk. </li></ul><ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. </li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations. </li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines. </li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated. </li></ul><ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments. </li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations. </li></ul>Highest Quarter:2009-06-300.0860.08570.08211811621520.3207<b>Portfolio turnover </b>Lowest Quarter:3192862690.14680.14350.16270.17320.10462011-09-30721648611-0.2136The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 66% of the average value of its portfolio.Year-to-Date2013-03-31The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index and the Fund&#8217;s benchmark, which more accurately reflects the Fund&#8217;s investments.0.08690.09460.0890.08580.07330.0821<b>Portfolio turnover </b><b>Principal investment strategies </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 79% of the average value of its portfolio.0.06450.05870.0570.02710.0343<b>Portfolio turnover </b>0.79Past performance (before and after taxes) is not an indication of future performance.The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not yet commenced operations as of the date of this Prospectus, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b><b>Principal investment strategies </b>The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Value Index.<br/><br/>The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy.<br/><br/>In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time.<br/><br/>As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities.<br/><br/>The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of non-U.S. companies that issue stocks included in the MSCI Standard Indices, international stock indices that target approximately the largest 85% of each market&#8217;s free-float adjusted market capitalization, and in companies with similar market capitalizations (&#8220;large- and mid-cap companies&#8221;). Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in securities of large- and mid-cap companies (see &#8220;Name Policies&#8221;). For these purposes, non-U.S. companies are companies tied economically to countries other than the U.S., including both developed and emerging countries. The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts.<br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.1998-07-291998-07-291998-07-291998-07-291998-07-29<b>Principal risks of investing in the Fund </b>Many factors can affect this value, and you may lose money by investing in the Fund.<b>Performance </b><b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31Because the Fund had not yet completed a full calendar year of operations as of the date of this Prospectus, performance information for the Fund is not included.<b>Portfolio turnover </b>Because the Fund had not yet completed a full calendar year of operations as of the date of this Prospectus, performance information for the Fund is not included.The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 55% of the average value of its portfolio.The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the S&amp;P 500 Index.<br /><br />The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy.<br /><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, industry and sector exposure, and market capitalization. The factors considered and investment methods used by the Manager can change over time. The Fund may invest in companies of any market capitalization.<br /><br />As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, and swap contracts. In addition, the Fund may lend its portfolio securities.<br /><br />Under normal circumstances, the Fund invests directly and indirectly (e.g., through underlying funds or derivatives) at least 80% of its assets in equity investments tied economically to the U.S. (see &#8220;Name Policies&#8221;). The terms &#8220;equity securities&#8221; and &#8220;equity investments&#8221; refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts.<br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.Highest Quarter: 32.69% (3Q2009)<br/>Lowest Quarter: &#8211;35.42% (4Q2008)<br/>Year-to-Date (as of 3/31/13): 7.48%0.47<b>Principal investment strategies </b><b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012Many factors can affect this value, and you may lose money by investing in the Fund.<b>Principal risks of investing in the Fund </b>The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the Russell 1000 Growth Index.<br/><br/>The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy.<br/><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, industry and sector exposure, and market capitalization. The factors considered and investment methods used by the Manager can change over time.<br/><br/>As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, and swap contracts. In addition, the Fund may lend its portfolio securities.<br/><br/>The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to the U.S. (see &#8220;Name Policies&#8221;). The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. <br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.Year-to-Date1996-09-261996-09-261996-09-261987-03-311987-03-311987-03-311987-03-311987-03-311998-01-091998-01-091998-01-09<b>Principal risks of investing in the Fund </b>2013-03-31After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.0.0748Highest Quarter:2009-09-300.3269Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).Lowest Quarter:2008-12-31-0.35420.20.20.15470.21810.2275-0.0045-0.0114-0.0055-0.0086-0.0085After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary.The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Growth Index. <br /><br />The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br />As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to countries other than the U.S., including both developed and emerging countries. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments (see &#8220;Name Policies&#8221;). The terms &#8220;equity securities&#8221; and &#8220;equity investments&#8221; refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. <br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>0.12390.11930.11280.10630.1352<b>Performance </b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>0.16240.15260.10550.17770.160.06550.0730.06990.09160.37670.2239The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.1991-10-141991-10-141991-10-141991-10-140.14550.24780.06380.05170.04710.05580.01660.11490.08530.08760.11580.071<b>Performance </b>Because the Fund had not yet completed a full calendar year of operations as of the date of this Prospectus, performance information for the Fund is not included.0.09810.0710.07210.10740.0659<b>Principal risks of investing in the Fund </b>Many factors can affect this value, and you may lose money by investing in the Fund.0.1101-0.40050.2106The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Fund may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>0.1029The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.-0.09080.1584<b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary.Year-to-Date2013-03-31Past performance (before and after taxes) is not an indication of future performance.0.0288Highest Quarter:2009-06-300.28580.223Lowest Quarter:0.05092008-09-30-0.19920.04370.02380.0586-0.3090.25040.13940.12820.171<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31<div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesGMOAssetAllocationInternationalSmallCompaniesFund column period compact * ~</div>
June 30, 20140.760.2661<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOAssetAllocationInternationalSmallCompaniesFund column period compact * ~</div>
The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>0.0980.03410.09570.0157-0.3029<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOAssetAllocationInternationalSmallCompaniesFund column period compact * ~</div>
0.21230.0882<b>If you sell your shares</b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Fund may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>If you do not sell your shares</b><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOAssetAllocationInternationalSmallCompaniesFund column period compact * ~</div>
<b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark and an additional broad-based international stock index selected by the Manager. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31Many factors can affect this value, and you may lose money by investing in the Fund.0.0807Highest Quarter: 15.03% (2Q2003)<br/>Lowest Quarter: &#8211;16.85% (4Q2008)<br/>Year-to-Date (as of 3/31/13): 10.16%The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is a broad-based index) and a composite index computed by the Manager.<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012Past performance (before and after taxes) is not an indication of future performance.0.1710.15020.13150.15260.29680.0540.04840.04550.03120.12760.07110.06370.06030.07520.05980.10010.06020.06590.09020.135-0.0387-0.338After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.0.41050.2050.24440.11590.16760.1038Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).0.25420.1440.1342-0.3920.20980.0949-0.08330.1468<b>Annual Total Returns</b>/Class III Shares</br>Years Ending December 31Highest Quarter: 19.25% (2Q2003) <br/>Lowest Quarter: &#8211;18.29% (4Q2008) <br/>Year-to-Date (as of 3/31/13): 12.07%Highest Quarter: 16.59% (2Q2003)<br />Lowest Quarter: &#8211;16.34% (4Q2008)<br />Year-to-Date (as of 3/31/13): 11.44%<b>Investment objective </b>-0.005Highest Quarter: 17.83% (3Q2010)<br/>Lowest Quarter: &#8211;19.33% (3Q2008)<br/>Year-to-Date (as of 3/31/13): 6.91%Highest Quarter:2003-06-300.1659Lowest Quarter:Highest Quarter:2008-12-312003-06-30-0.16340.1925<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012Year-to-DateLowest Quarter:2013-03-312008-12-310.1144-0.1829Year-to-Date2013-03-310.1207<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20120.12810.12460.08780.160.12880.160.12870.160.02310.02030.01930.01660.02370.01660.02410.01660.06020.05450.05160.0710.06070.071Highest Quarter:0.17832010-09-30<b>Average Annual Total Returns </b> <br/>Periods Ending December 31, 2012Lowest Quarter:-0.19332008-09-300.1440.140.0990.1751Year-to-Date0.06912013-03-310.02370.02070.01970.00590.06630.05470.0550.07380.20470.19840.14070.16860.17320.20550.16860.17320.04560.03420.03560.04051988-12-301988-12-301988-12-301988-12-300.09320.08280.08060.07770.08210.10710.08090.08140.10390.05010.04790.05310.0624The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark and an additional broad-based international stock index selected by the Manager.0.0750.06460.06350.05370.05770.03890.01850.0101Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After tax returns are shown for Class III shares only; after-tax returns for other classes will vary.June 30, 20140.661996-05-311996-05-311996-05-311996-05-311996-05-31473236191463Many factors can affect this value, and you may lose money by investing in the Fund.The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.June 30, 2014After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.0.54Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).0.33850.30430.11290.3040.3530.2003-0.1715-0.33170.24540.2740.10510.16240.13130.24070.1388Many factors can affect this value, and you may lose money by investing in the Fund.-0.36720.22110.1402-0.0817Year-to-Date2013-03-310.2047The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.0.1016Highest Quarter:0.15840.15450.1120.17320.15910.17320.15970.17322003-06-300.1503Lowest Quarter:-0.0336-0.0377-0.0278-0.0369-0.033-0.0369-0.0327-0.03692008-12-31-0.16850.08470.07850.07490.0821The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is computed by the Manager) and a broad-based international stock index.June 30, 20140.07520.06840.06560.0630.07750.07630.01220.01030.53Past performance (before and after taxes) is not an indication of future performance.Many factors can affect this value, and you may lose money by investing in the Fund.2002-01-292002-01-292002-01-292002-01-292003-06-302003-06-302006-03-282006-03-28The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.2001-11-302001-11-302001-11-302001-11-302001-11-302006-07-122006-07-122006-07-12Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).<b>Example </b>After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.June 30, 2014Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).Many factors can affect this value, and you may lose money by investing in the Fund.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOInternationalLargeMidCapValueFund column period compact * ~</div>
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June 30, 20140.55Many factors can affect this value, and you may lose money by investing in the Fund.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMORealEstateFund column period compact * ~</div>
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Many factors can affect this value, and you may lose money by investing in the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark and an additional broad-based international stock index selected by the Manager.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGMOTax-ManagedInternationalEquitiesFundBarChart column period compact * ~</div>
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After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After tax returns are shown for Class III shares only; after-tax returns for other classes will vary.-0.005Year-to-Date2013-03-310.0215Highest Quarter:2009-06-300.224Lowest Quarter:2011-09-30-0.1913<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOTax-ManagedInternationalEquitiesFund column period compact * ~</div>
<b>GMO FOREIGN SMALL COMPANIES FUND</b><b>Investment objective </b>Total return in excess of that of its benchmark, the S&amp;P Developed ex-U.S. Small Cap Index.<b>Fees and expenses </b>The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Shareholder fees </b><br/>(fees paid directly from your investment)0.0050.005-0.005-0.005<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.0070.007The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.0.00150.0010.0010.0010.00950.009-0.001-0.001Because the Fund had not yet completed a full calendar year of operations as of the date of this Prospectus, performance information for the Fund is not included.0.00850.008<b>GMO GLOBAL FOCUSED EQUITY FUND</b>0.0015<b>Investment objective </b>Total return.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.-0.0051-0.0104-0.0052-0.0309-0.0369-0.0044-0.0309-0.0369<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.0060.006After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).0.0010.0015<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOInternationalLargeMidCapValueFund column period compact * ~</div>
0.02460.0246June 30, 20140.00010.0001<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.00050.00050.03220.03170.0070.0064<b>If you sell your shares</b><b>If you do not sell your shares</b>188183397382624597-0.0238-0.02380.00840.007912761218-0.0327-0.0361-0.0262-0.0436-0.036913613134132656353612011143-0.0439-0.0434-0.0369-0.0487-0.0358-0.0434-0.0427-0.0369-0.0369-0.0434<b>Example</b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:86817697541476145133573310<b>GMO EMERGING COUNTRIES FUND </b><b>Investment objective </b><b>Portfolio turnover</b>Total return in excess of that of its benchmark, the S&amp;P/IFCI Composite.The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 103% of the average value of its portfolio.<b>Portfolio turnover </b><b>Fees and expenses </b>0.1281The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 56% of the average value of its portfolio.<b>Principal investment strategies</b>The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.0.56<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.00590.014<b>Principal investment strategies </b>0.0119The Fund may invest directly and indirectly (e.g., through underlying funds or derivatives) in equity investments traded in any of the world&#8217;s securities markets, including emerging markets. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments (see &#8220;Name Policies&#8221;). The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. The Fund is permitted to make equity investments of all types, including equity investments issued by non-U.S. and U.S. companies, growth and value style equities, and equity investments of companies of any market capitalization. In addition, the Fund is not limited in how much it may invest in any market or in the types of equity investments it may make, and it may often invest all its assets in a limited number of countries and/or market capitalization ranges. The Fund could experience material losses from a single investment.<br/><br/>The Manager anticipates that the Fund will focus its investments in a limited number (30-50) of securities that the Manager believes offer the most attractive investment opportunities in U.S. and non-U.S. equity markets. The Manager does not manage the Fund to, or control the Fund&#8217;s risk relative to, any index or benchmark.<br/><br/>The Manager selects investments using value based fundamental analysis that is informed by a disciplined quantitative screening process. The Manager analyzes companies for financial, operational, and managerial strength and compares them to their global, regional, and local industry peers. As part of the investment process, the Manager frequently meets with management and/or visits companies. The factors considered and investment methods used by the Manager can change over time.<br/><br/>The Fund may hold up to 20% of its assets in cash or cash equivalents. The Fund may (but is not obligated to) use a wide variety of exchange-traded and over-the-counter (OTC) derivatives, including, without limitation, futures and options, as well as exchange-traded funds. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure of its equity investments. In addition, the Fund may lend its portfolio securities.<br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.<b>Principal risks of investing in the Fund</b><b>GMO CURRENCY HEDGED INTERNATIONAL EQUITY FUND </b><b>Investment objective </b>Total return greater than that of its benchmark, the MSCI EAFE Index (Hedged).<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)Many factors can affect this value, and you may lose money by investing in the Fund.0.00650.00150.0054The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.0.00150.0002The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies tied economically to countries other than the U.S. (including both developed and emerging countries) whose outstanding publicly traded equities are in the lowest 25% of publicly traded market capitalization (float) in a particular country (&#8220;small companies&#8221;). The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in securities of small companies that are tied economically to countries other than the U.S. (see &#8220;Name Policies&#8221;). The market capitalization range of companies whose equity investments are held by the Fund is generally within the market capitalization range of companies in the Fund&#8217;s benchmark, which represents the lowest 15% of publicly traded market capitalization (float) of the S&amp;P Broad Market Index in each country. Depending on the country, as of May 31, 2013, the market capitalization of the outstanding common stock and other stock-related securities of the largest company (in a particular country) included in the S&amp;P Developed ex-U.S. Small Cap Index ranged from approximately $485 million (Greece) to $10.1 billion (Switzerland) (based on exchange rates as of May 31, 2013). As of May 31, 2013, the publicly traded market capitalization of the largest small company (as defined by the Fund) ranged from approximately $619 million (Egypt) to $36 billion (Switzerland) (based on exchange rates as of May 31, 2013).<ul type ="square"><li>Country/Region selection &#8211; The Fund&#8217;s country or region weightings relative to its benchmark are determined by the Manager&#8217;s proprietary quantitative value score for each country or region together with the Manager&#8217;s evaluation of the country&#8217;s or region&#8217;s fundamentals. The Fund typically overweights or underweights (sometimes to a significant extent) its investment exposure in particular countries or regions relative to the Fund&#8217;s benchmark.</li></ul><ul type ="square"><li>Stock selection &#8211; The Manager selects stocks using value based fundamental analysis that is informed by a disciplined quantitative screening process. The Manager analyzes companies for financial, operational, and managerial strength and compares them to their global, regional, and local industry peers. As part of the investment process, the Manager frequently meets with management and/or visits companies.</li></ul>The factors considered and investment methods used by the Manager can change over time. <br /><br />In pursuing its investment objective, the Fund may (but is not obligated to) use a wide variety of exchange-traded and over-the-counter (OTC) derivatives, including, without limitation, futures and options, as well as exchange-traded funds. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure of its equity investments. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.0.0058-0.00210.0129-0.0060.0069<b>Principal risks of investing in the Fund </b>0.0001<b>Performance</b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing the Fund&#8217;s annual total returns for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.<b>Example </b><b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:121422The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type ="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type ="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares. </li></ul><ul type ="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. </li></ul><ul type ="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul><ul type ="square"><li>Liquidity Risk &#8211; Shares of small- and mid-cap companies often have lower trading volumes than those of larger companies and a limited number or no market makers. Thus, the Fund may be unable to sell a large position in shares of small- and mid-cap companies or unwind derivative positions on them at desirable prices. </li></ul><ul type ="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. </li></ul><ul type ="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated. </li></ul><ul type ="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments. </li></ul><ul type ="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations. </li></ul><ul type ="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines. </li></ul><ul type ="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk. </li></ul><ul type ="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations. </li></ul>746166270360672Many factors can affect this value, and you may lose money by investing in the Fund.1556<b>Performance </b>121704227463601662The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart. Returns in the table reflect current purchase premiums and redemption fees. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.6721556<b>Portfolio turnover </b>0.00130.00140.00140.00130.0013<b>Portfolio turnover </b>0.0050.0050.005<b>GMO EMERGING MARKETS FUND </b><b>Investment objective </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 45% of the average value of its portfolio.The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 108% of the average value of its portfolio.<b>Principal investment strategies </b><b>Principal investment strategies </b>Total return in excess of that of its benchmark, the S&amp;P/IFCI Composite.<b>Fees and expenses </b>0.01160.0110.01060.01030.01The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Shareholder fees </b> <br/>(fees paid directly from your investment)<b>Annual Fund operating expenses </b> <br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:The Fund is a fund of funds and invests primarily in other GMO Funds. The Fund may invest in International Core Equity Fund, International Intrinsic Value Fund, International Large/Mid Cap Value Fund, International Growth Equity Fund, International Small Companies Fund, Asset Allocation International Small Companies Fund, and Flexible Equities Fund (collectively, the &#8220;underlying Funds&#8221;) and may invest in securities directly.<br/><br/>Under normal circumstances, the Fund invests directly and indirectly (through investment in the underlying Funds) at least 80% of its assets in equity investments (see &#8220;Name Policies&#8221;). The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts.<br/><br/>The Manager uses multi-year forecasts of returns and risk among major sectors in the international equity markets (e.g., large-cap value, large-cap growth, large-cap core, small- and mid-cap value, and small- and mid-cap growth) to select the underlying Funds and decide how much to invest in each. An important component of those forecasts is the expectation that valuation reversion ultimately drives market returns. The Manager shifts investments among the underlying Funds in response to changes in its investment outlook and market valuations and may use redemptions or purchases of Fund shares to rebalance the Fund&#8217;s investments. The factors considered and investment methods used by the Manager can change over time.<br/><br/>The Manager assesses the currency exposure of the underlying Funds&#8217; holdings and then attempts to hedge at least 70% of that exposure relative to the U.S. dollar through the use of currency forwards and other derivatives. While the Fund&#8217;s benchmark is fully hedged, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark.<br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds. The Fund also may lend its portfolio securities.<b>Principal risks of investing in the Fund </b>0.01130.01060.01020.010.0097<b>GMO TAIWAN FUND</b>The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies tied economically to emerging countries. &#8220;Emerging countries&#8221; include all countries that are not treated as &#8220;developed market countries&#8221; in the MSCI World Index or MSCI EAFE Index. The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to emerging countries (see &#8220;Name Policies&#8221;). In addition to investing in companies tied economically to emerging countries, the Fund may invest in companies that the Manager believes are likely to benefit from growth in the emerging markets. The Manager expects that the Fund will have a value bias relative to its benchmark. In general, the Fund typically invests in companies with larger market capitalizations than does Emerging Markets Fund.<br/><br/>The Manager uses proprietary quantitative techniques and fundamental analysis to evaluate and select countries, sectors, and equity investments based on factors including, but not limited to, valuation and patterns of price movement or price volatility. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br/><br/>As a substitute for direct investments in equities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include options, futures, warrants, swap contracts, and reverse repurchase agreements. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities. <br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.<b>Investment objective </b>Total return in excess of that of its benchmark, the MSCI Taiwan Index.<b>Principal risks of investing in the Fund </b><b>Fees and expenses </b>Past performance (before and after taxes) is not an indication of future performance.The tables below describe the fees and expenses that you may pay if you buy and hold shares of the Fund.-0.0004-0.0004-0.0004Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart.<b>GMO FLEXIBLE EQUITIES FUND </b><b>Shareholder fees </b><br/>(fees paid directly from your investment)<b>Investment objective </b>Total return in excess of that of its benchmark, the MSCI World Index.<b>Fees and expenses </b>Returns in the table reflect current purchase premiums and redemption fees.The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.00220.00150.0009<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. The Fund is also subject to risk because GMO does not manage the Fund to, or control the Fund&#8217;s risk relative to, any index or benchmark.</li></ul><ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><b>Portfolio turnover </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 119% of the average value of its portfolio.0.0015<b>Principal investment strategies </b>After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<b>GMO EMERGING DOMESTIC OPPORTUNITIES FUND </b>Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies tied economically to emerging markets. &#8220;Emerging markets&#8221; include all markets that are not treated as &#8220;developed markets&#8221; in the MSCI World Index or MSCI EAFE Index. The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to emerging markets (see &#8220;Name Policies&#8221;). In addition to investing in companies tied economically to emerging markets, the Fund may invest in companies that the Manager believes are likely to benefit from growth in the emerging markets. The Manager expects that the Fund will have a value bias relative to its benchmark. <br/><br/>The Manager uses proprietary quantitative techniques and fundamental analysis to evaluate and select countries, sectors, and equity investments based on factors including, but not limited to, valuation and patterns of price movement or price volatility. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br/><br/>As a substitute for direct investments in equities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include options, futures, warrants, swap contracts, and reverse repurchase agreements. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities. <br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary.<b>Principal risks of investing in the Fund </b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging markets, the economies of which tend to be more volatile than the economies of developed markets.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition, the Fund may buy securities that are less liquid than those in its benchmark. </li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. The Fund may buy securities that have smaller market capitalizations than those in its benchmark.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in a limited number of countries and geographic regions creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds (including ETFs) will not perform as expected.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).<b>Performance </b><b>Investment objective </b>-0.0045Total return.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart. Returns in the table reflect current purchase premiums and redemption fees. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>Fees and expenses </b>The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Annual Total Returns</b>/Class III Shares <br/>Years Ending December 31Past performance (before and after taxes) is not an indication of future performance.<b>Shareholder fees </b><br/>(fees paid directly from your investment)Highest Quarter: 31.90% (2Q2009) <br/> Lowest Quarter: &#8211;30.50% (4Q2008) <br/> Year-to-Date (as of 3/31/13): &#8211;2.79%The bar chart and table below provide some indication of the risks of investing in the Fund by showing the Fund&#8217;s annual total returns for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.<b>Average Annual Total Returns </b> <br/>Periods Ending December 31, 20120.00550.00550.00150.000550.00070.00070.0080.0080.0080.0080.008<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.00770.0068<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31-0.0007-0.00070.0070.0061-0.008-0.008-0.008-0.008-0.0080.00810.00150.0042The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund&#8217;s investments in the underlying Funds. Some of the underlying Funds are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those Funds may affect their performance more than if they were diversified investment companies. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, including those risks to which the Fund is exposed as a result of its investments in the underlying Funds, see &#8220;Description of Principal Risks.&#8221;<ul type = "square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund or an underlying Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund or an underlying Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type = "square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type = "square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type = "square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type = "square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in the underlying Funds in which it invests, including the risk that those underlying Funds will not perform as expected. Because the Fund bears the fees and expenses of the underlying Funds in which it invests, a reallocation of the Fund&#8217;s investments to underlying Funds with higher fees or expenses will increase the Fund&#8217;s total expenses. The fees and expenses associated with an investment in the Fund are less predictable than those associated with an investment in funds that charge a fixed management fee.</li></ul><ul type = "square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies. In addition, hedging a non-U.S. currency can have a negative effect on performance if the U.S. dollar declines in value relative to that currency.</li></ul><ul type = "square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type = "square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type = "square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations. </li></ul><ul type = "square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type = "square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type = "square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type = "square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>GMO FOREIGN FUND</b>0.20910.0001Highest Quarter: 31.25% (2Q2009)<br/>Lowest Quarter: &#8211;24.05% (3Q2008)<br/>Year-to-Date (as of 3/31/13): 7.03%<b>Investment objective </b>0.0139Total return in excess of that of its benchmark, the MSCI EAFE Index.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Performance </b>0.0080.0080.0080.0080.008The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark and an additional broad-based international stock index selected by the Manager. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.0.20910.20340.140.16130.00910.00840.0078<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31June 30, 2014Year-to-Date0.00090.00090.00092013-03-310.07030.20960.1477<b>Example </b>0.27320.1931<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.00840.00770.0071Highest Quarter:0.05882009-06-30This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.0060.0060.006-0.34090.3125Lowest Quarter:0.16112008-09-300.0772-0.24050.00150.00220.0009-0.0968-0.0007-0.0007-0.00072035040.14130.14090.16760.16258280.16512011-12-012011-12-012011-12-012011-12-010.00750.00750.00750.00750.00750.000550.000850.001050.00150.0022<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.00060.00060.00060.00060.00061745<b>Example </b>-0.0003-0.0004-0.0004-0.0003-0.0003This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>GMO RESOURCES FUND </b><b>Investment objective </b>Total return.0.5073156<b>Fees and expenses </b>0.29248679734540.1917774867973The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.358328326124216810.0785-0.4468283261242Highest Quarter:4974594262003-06-304974594260.44580.16080.2483Lowest Quarter:1113103196011131031960<b>Shareholder fees </b><br/>(fees paid directly from your investment)-0.15250.00120.00120.00120.00120.00120.22572011-09-30-0.1482Year-to-Date2722672632582552013-03-310.07480.01110.01040.010.00980.00955164964844754660.01080.01030.00990.00940.00917262780745724710694The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition, the Fund may buy securities that are less liquid than those in its benchmark.</li></ul><ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. The Fund may buy securities that have smaller market capitalizations than those in its benchmark.</li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in a limited number of countries and geographic regions creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds (including ETFs) will not perform as expected.</li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul>2392114213720.0030.0030.0030.00394884015341457141113861352<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012<b>Performance </b><b>Portfolio turnover </b><b>Portfolio turnover </b>189184180175172The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 91% of the average value of its portfolio.The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 156% of the average value of its portfolio.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.<b>Principal investment strategies </b><b>Principal investment strategies </b>427407395386376Highest Quarter: 12.11% (1Q2012)<br />Lowest Quarter: &#8211;5.70% (2Q2012)<br />Year-to-Date (as of 3/31/13): 1.47%<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 310.17320.17540.11760.15670.1651-0.0369-0.0376-0.0295-0.0487-0.0286846486276135970.08210.06020.05590.04370.0684The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies tied economically to non-U.S. countries, including both developed and emerging countries. The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to countries other than the U.S. (see &#8220;Name Policies&#8221;).<ul type="square"><li>Country/Region selection &#8211; The Fund&#8217;s country or region weightings relative to its benchmark are determined by the Manager&#8217;s proprietary quantitative value score for each country or region together with the Manager&#8217;s evaluation of the country&#8217;s or region&#8217;s fundamentals. The Fund typically overweights or underweights (sometimes to a significant extent) its investment exposure in particular countries or regions relative to the Fund&#8217;s benchmark.</li></ul><ul type="square"><li>Stock selection &#8211; The Manager selects stocks using value based fundamental analysis that is informed by a disciplined quantitative screening process. The Manager analyzes companies for financial, operational, and managerial strength and compares them to their global, regional, and local industry peers. As part of the investment process, the Manager frequently meets with management and/or visits companies.</li></ul>The factors considered and investment methods used by the Manager can change over time. <br /><br />In pursuing its investment objective, the Fund may (but is not obligated to) use a wide variety of exchange-traded and over-the-counter (OTC) derivatives, including, without limitation, futures and options, as well as exchange-traded funds. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure of its equity investments. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.0.04670.05470.04410.03390.07060.6937<b>Principal risks of investing in the Fund </b>0.27041995-06-301995-06-301995-06-301995-06-301995-06-300.00750.00750.00750.00750.0075The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies doing business in or otherwise tied economically to Taiwan. The Fund may invest in companies of any market capitalization. The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to Taiwan (see &#8220;Name Policies&#8221;).<br/><br/>The Manager uses proprietary quantitative techniques and fundamental analysis to evaluate and select sectors and equity investments based on factors including, but not limited to, valuation and patterns of price movement or price volatility, the Manager&#8217;s assessment of a sector&#8217;s fundamentals as well as a company&#8217;s positioning relative to its competitors. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time.<br/><br/>The Fund may invest a significant portion of its assets in securities of issuers in industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services).<br/><br/>As a substitute for direct investments in equities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include options, futures, warrants, swap contracts, and reverse repurchase agreements. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure represented by its equity investments. <br/><br/>In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities.<br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.0.3631141813401294126812330.29520.3778-0.54930.68010.20470.0022-0.17160.1509<b>Annual Total Returns</b>/Class III Shares<br/>Year Ending December 310.00020.00020.00020.00020.0002<b>If you sell your shares</b><b>If you do not sell your shares</b>-0.0004-0.0004-0.0001-0.0001-0.0003<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20120.21350.21240.14290.18550.21580.18550.00530.00190.0047-0.01260.0057-0.01260.13320.11760.11610.12160.13370.12160.10910.06620.11560.0998<b>Principal risks of investing in the Fund </b>7262June 30, 20142392110.0050.0050.0050.005<b>Example </b>Highest Quarter: 31.14% (2Q2009)<br/>Lowest Quarter: &#8211;31.38% (4Q2008)<br/>Year-to-Date (as of 3/31/13): &#8211;3.18%421372This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul>9488400.00150.0010.000850.00055<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20120.00850.00850.00850.0085Highest Quarter:1995-01-041995-01-042002-06-142002-06-14<b>If you sell your shares</b>0.15090.15050.10480.1889<b>If you do not sell your shares</b>0.0150.01450.01440.01410.16360.14150.14380.1750.14370.18890.14360.14250.10020.18890.14470.18890.14550.18890.14560.1889<b>Portfolio turnover </b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. Certain characteristics of Taiwan&#8217;s economy and geographic location also subject the Fund to risks. For example, Taiwan is a small island state with few raw material resources and limited land area and thus it relies heavily on imports for its commodity needs. Any fluctuations or shortages in the commodity markets could have a negative impact on the Taiwanese economy. Also, rising labor costs and increasing environmental consciousness have led some labor-intensive industries to relocate to countries with cheaper work forces, and continued labor outsourcing may adversely affect the Taiwanese economy. Taiwan&#8217;s economy also is intricately linked with economies of Asian countries that have experienced over-extensions of credit, frequent and pronounced currency fluctuations, currency devaluations, currency repatriation, rising unemployment, and fluctuations in inflation. Currency devaluations in any one country can have a significant effect on the entire region. Political and social unrest in Asian countries could cause further economic and market uncertainty in Taiwan. In particular, the Taiwanese economy is dependent on the economies of Japan and China, and also the United States, and a reduction in purchases by any of them of Taiwanese products and services or negative changes in their economies would likely have an adverse impact on the Taiwanese economy. Taiwan&#8217;s geographic proximity to China and Taiwan&#8217;s history of political contention with China have resulted in ongoing tensions with China, including the risk of war with China. These tensions may materially affect the Taiwanese economy and securities markets. All of these risks could reduce the value of an investment in Taiwan Fund.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another, such as the Fund&#8217;s investments tied economically to Taiwan, creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds (including ETFs) will not perform as expected.</li></ul>-0.0073-0.0073-0.0073-0.0073The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 47% of the average value of its portfolio.0.0970.08180.08370.0878277270266264261531512500491482<b>Principal investment strategies </b>0.00770.00720.00710.0068The Manager pursues investment strategies for the Fund that are intended to complement the strategies being pursued by the Manager in Asset Allocation Funds or accounts. Accordingly, the Fund is not a standalone investment and the Fund&#8217;s investment returns may be more volatile than a standalone investment vehicle. The Manager uses multi-year forecasts of returns and risk to determine the Fund&#8217;s strategic direction. The factors considered and investment methods used by the Manager can change over time.<br/><br/>The Fund may invest directly and indirectly (e.g., through underlying funds or derivatives) in equity investments traded in any of the world&#8217;s securities markets. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments (see &#8220;Name Policies&#8221;). The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. The Fund is permitted to make equity investments of all types, including equity investments issued by non-U.S. and U.S. companies, growth and value style equities, and equity investments of companies of any market capitalization. In addition, the Fund is not limited in how much it may invest in any market or in the types of equity investments it may make, and it may often invest all its assets in a limited number of equity investments of companies in a single country and/or capitalization range. The Fund could experience material losses from a single investment. As of the date of this Prospectus, substantially all of the Fund&#8217;s assets were invested in equity investments tied economically to Japan.<br/><br/>As a substitute for direct investments in equities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include options, futures, warrants, swap contracts, and reverse repurchase agreements. The Fund&#8217;s non-U.S. currency exposure may differ significantly from the currency exposure represented by its equity investments. For investment and hedging purposes, the Fund also may make short sales of securities, including short sales of securities the Fund does not own. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities.<br/><br/>The Fund may identify and measure its performance against one or more secondary benchmarks from time to time. The Manager does not manage the Fund to, or control the Fund&#8217;s risk relative to, the Fund&#8217;s benchmark.<br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.806774753738722Many factors can affect this value, and you may lose money by investing in the Fund.159115221477144414102012-03-310.1750.16570.16650.14490.14740.1750.16710.1750.1211<b>Principal risks of investing in the Fund </b>194187183181178Lowest Quarter:<b>Performance </b>4434234114023930.16550.15650.16070.15280.11130.07020.11690.07830.07680.09220.08540.1The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Information on the Fund&#8217;s return after taxes is unavailable prior to June 28, 1996, the date the Fund commenced operations as a registered investment company. Past performance (before and after taxes) is not an indication of future performance.7106786566416252012-06-3014751406136013271292-0.057Year-to-Date2013-03-310.0147June 30, 20140.45The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund's performance more than if the Fund were a diversified investment company.<b>Performance </b>Many factors can affect this value, and you may lose money by investing in the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart. Returns in the table reflect current purchase premiums and redemption fees. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.June 30, 20141.03Some of the underlying Funds are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those Funds may affect their performance more than if they were diversified investment companies.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund's annual total returns from year to year for the periods indicated and by comparing the Fund's average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark and an additional broad-based international stock index selected by the Manager.Past performance (before and after taxes) is not an indication of future performance.<b>Portfolio turnover </b>After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 247% of the average value of its portfolio.2.47Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).<b>Principal investment strategies </b>Highest Quarter: 22.85% (3Q2010)<br/>Lowest Quarter: &#8211;23.74% (4Q2008)<br/>Year-to-Date (as of 3/31/13): 1.47%The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies whose prospects are linked to the internal (&#8220;domestic&#8221;) development and growth of the world&#8217;s non-developed markets (&#8220;emerging markets&#8221;), including companies that provide goods and services to emerging market consumers. &#8220;Emerging markets&#8221; include all markets that are not treated as &#8220;developed markets&#8221; in the MSCI World Index or MSCI EAFE Index.<br /><br />The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments related to emerging markets (see &#8220;Name Policies&#8221;). The Fund&#8217;s investments are not limited to investments in companies located in any particular country or geographic region, and may include investments in companies located in developed markets (e.g., the U.S.) that are related to, or whose prospects are linked to, emerging markets. The Manager does not manage the Fund to, or control the Fund&#8217;s risk relative to, any index or benchmark.<br /><br />The Manager uses primarily fundamental analysis to evaluate and select countries, sectors, and companies that it believes are most likely to benefit from domestic growth in emerging markets. In evaluating and selecting investments, the Manager may consider many factors, including the Manager&#8217;s assessment of a country&#8217;s and/or sector&#8217;s fundamentals or growth prospects as well as a company&#8217;s positioning relative to its competitors. The factors considered and investment methods used by the Manager can change over time.<br /><br />As a substitute for direct investments in equities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include options, futures, warrants, swap contracts, and reverse repurchase agreements. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may lend its portfolio securities.<br /><br />The Fund may make some or all of its investments through one or more wholly-owned, non-U.S. subsidiaries. GMO may serve as the investment manager to these companies but will not receive any additional management or other fees for its services.<br /><br />The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.<b>Principal risks of investing in the Fund </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary.Many factors can affect this value, and you may lose money by investing in the Fund.The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.0.91June 30, 20141997-08-291997-08-291997-08-291997-08-29Year-to-Date-0.0269-0.0056-0.0264-0.0383-0.0224-0.0056-0.0258-0.0056-0.0254-0.0056-0.0252-0.00562013-03-310.0147<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31Highest Quarter:2010-09-300.2285Lowest Quarter:2008-12-31-0.2374<b>Example </b>Highest Quarter: 21.67% (2Q2009)<br/>Lowest Quarter: &#8211;19.80% (3Q2011)<br/>Year-to-Date (as of 3/31/13): 2.10%The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments related to emerging markets, the economies of which tend to be more volatile than the economies of developed markets.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; The Fund&#8217;s investments in companies whose prospects are linked to the internal development and growth of emerging markets create additional risk because the performance of those companies is likely to be highly correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. The Fund is also subject to risk because GMO does not manage the Fund to, or control the Fund&#8217;s risk relative to, any index or benchmark.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds (including ETFs) will not perform as expected.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing the Fund&#8217;s annual total returns for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart. Returns in the table reflect current purchase premiums and redemption fees. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After tax returns are shown for Class II shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOCurrencyHedgedInternationalEquityFund column period compact * ~</div>
The bar chart and table below provide some indication of the risks of investing in the Fund by showing the Fund&#8217;s annual total returns for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Highest Quarter:0.2167<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOCurrencyHedgedInternationalEquityFund column period compact * ~</div>
2009-06-30Lowest Quarter:-0.1982011-09-30Year-to-Date0.021June 30, 20142013-03-31<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOCurrencyHedgedInternationalEquityFund column period compact * ~</div>
Many factors can affect this value, and you may lose money by investing in the Fund.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGMOCurrencyHedgedInternationalEquityFundBarChart column period compact * ~</div>
<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 20121996-11-291996-11-291993-12-091993-12-091993-12-091993-12-091998-01-091998-01-092003-08-042003-08-042003-06-302003-06-30The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. The Fund is also subject to risk because GMO does not manage the Fund to, or control the Fund&#8217;s risk relative to, the Fund&#8217;s benchmark.</li></ul><ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. As noted above, as of the date of this Prospectus, substantially all of the Fund&#8217;s assets were invested in equity investments tied economically to Japan. For so long as this is the case, the Fund&#8217;s performance will be affected by political, social and economic conditions in Japan. The Japanese economy and financial markets produced disappointing returns from 1990-2003 and have been volatile since that time. In the past, the economy has faced a number of problems, such as non-performing loans, deflation, a large government budget deficit, and a number of high profile bankruptcies, and these problems may continue to affect economic performance. Japanese institutional investors such as banks, insurance companies and pension funds have been large sellers of equities particularly since 2001, and such sales could negatively affect investment returns. An earthquake and tsunami that hit the Tohoku region of Japan on March 11, 2011 triggered supply shortages in some of Japan&#8217;s key industries, affecting companies around the world. In addition, the earthquake and tsunami caused massive damage and equipment failure at the nuclear power plants at Fukushima, which resulted in electricity shortages and the release of radioactive material. It not clear what effect damage caused by the earthquake and tsunami, as well as the Fukushima nuclear incident, will have on the Japanese economy, and additional natural disasters are possible in the future. The Fund&#8217;s equity investments tied economically to Japan also may be impacted by events and trends outside of Japan. Japan&#8217;s economy and stock market have in the recent past had a strong correlation with the U.S. economic cycle and U.S. stock markets, and thus Japan&#8217;s economy may be affected by economic trouble in the United States. Japan also has a growing economic relationship with China and other Southeast Asian countries, and thus Japan&#8217;s economy may also be affected by economic trouble in those countries. Poor performance of the global economy could negatively affect equity returns in Japan or lead to recession in Japan. All of these risks could reduce the value of an investment in the Fund.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another, such as the Fund&#8217;s investments tied economically to Japan, creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Short Sales Risk &#8211; The Fund runs the risk that the Fund&#8217;s loss on a short sale of securities that the Fund does not own is unlimited.</li></ul>The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.0.16210.17320.16170.15690.1130.17320.16280.1732<div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGMOCurrencyHedgedInternationalEquityFund column period compact * ~</div>
0.07940.08210.08020.07150.07120.08210.08070.08210.10950.10820.0820.1668<b>Performance </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.02960.02480.02660.01540.08690.07380.07430.08730.08490.07210.07260.09591.08135133130467451446437817791781765<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 310.40890.06650.04250.11820.09150.06560.04570.219Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart.0.13690.271218061750172916960.1023<b>GMO QUALITY FUND </b>Returns in the table reflect current purchase premiums and redemption fees.-0.3979-0.10030.22460.0222Many factors can affect this value, and you may lose money by investing in the Fund.<b>Investment objective </b>0.0477-0.08920.1618-0.1193Total return.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.0.1617The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After tax returns are shown for Class II shares only; after-tax returns for other classes will vary.<b>Annual Fund operating expenses </b><br/>(expenses that you pay each year as a percentage of the value of your investment)The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.<b>Example </b>Past performance (before and after taxes) is not an indication of future performance.This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Annual Total Returns</b>/Class II Shares<br/>Year Ending December 31After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<b>Portfolio turnover </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 34% of the average value of its portfolio.0.2508Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).<b>Principal investment strategies </b>2002-10-042002-10-042002-10-042002-10-04-0.0369-0.0457-0.0369-0.0381-0.0514-0.046-0.0369-0.0466Highest Quarter: 12.66% (1Q2012)<br />Lowest Quarter: &#8211;3.58% (2Q2012) <br />Year-to-Date (as of 3/31/13): 5.40%1.56Highest Quarter:1996-09-301996-09-301984-08-311984-08-311998-01-091998-01-092012-03-31The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes to be of high quality.<br/><br/>The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy.<br/><br/>In assessing a company&#8217;s quality, the Manager may consider several factors, including, in particular, high profitability, stable profitability, and low leverage.<br/><br/>In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time.<br/><br/>As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities.<br/><br/>The Fund may hold shares in fewer than 100 companies. The Fund may make tactical allocations of up to 20% of its net assets to investments in cash and high quality debt instruments.<br/><br/>The Fund is permitted to invest directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to any country in the world, including emerging countries. The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts.<br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.0.1266Year-to-DateLowest Quarter:2013-03-31-0.03182012-06-30Highest Quarter:-0.0358<b>Principal risks of investing in the Fund </b>Year-to-Date2009-06-302013-03-310.3114Lowest Quarter:0.0542008-12-31-0.3138Highest Quarter: 20.74% (2Q2009)<br/>Lowest Quarter: &#8211;24.04% (1Q2009)<br/>Year-to-Date (as of 3/31/13): 17.38%<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 20122011-03-242011-09-192011-09-192011-03-242011-03-242011-03-24The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in a limited number of countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated. The Fund invests its assets in the securities of a limited number of issuers, and a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund invested in the securities of a larger number of issuers.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines. </li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance. Performance information (before and after taxes) for certain periods reflects performance achieved prior to the change in the Fund&#8217;s principal investment strategies, effective June 1, 2009.10810310299433418413403Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart.781755745729Returns in the table reflect current purchase premiums and redemption fees.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.17631708Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).16861653<b>Annual Total Returns</b>/Class III Shares<br/>Years Ending December 31Highest Quarter: 11.53% (3Q2010) <br/>Lowest Quarter: &#8211;13.13% (4Q2008) <br/>Year-to-Date (as of 3/31/13): 10.43%Highest Quarter: 16.08% (2Q2003)<br/>Lowest Quarter: &#8211;14.82% (3Q2011)<br/>Year-to-Date (as of 3/31/13): 7.48%<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 20120.23090.22840.1460.18220.23270.18220.07940.07780.06610.13730.1114<b>Portfolio turnover </b><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOEmergingCountriesFund column period compact * ~</div>
The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 51% of the average value of its portfolio.<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOEmergingCountriesFund column period compact * ~</div>
<b>Principal investment strategies </b><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOEmergingCountriesFund column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGMOEmergingCountriesFundBarChart column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGMOEmergingCountriesFund column period compact * ~</div>
The Fund has a fundamental policy to concentrate its investments in the natural resources sector, and, under normal market conditions, the Fund invests at least 80% of its assets in the securities of companies in that sector. The Fund considers the &#8220;natural resources sector&#8221; to include companies that own, produce, refine, process, transport, and market natural resources and companies that provide related equipment, infrastructure, and services. The sector includes, for example, the following industries: integrated oil, oil and gas exploration and production, gold and other precious metals, steel and iron ore production, energy services and technology, base metal production, forest products, farming products, paper products, chemicals, building materials, coal, water, alternative energy sources, and environmental services. The Fund is permitted to invest directly and indirectly (e.g., through underlying funds or derivatives) in securities of companies tied economically to any country in the world, including emerging countries. In addition to its investments in companies in the natural resources sector, the Fund also may invest up to 20% of its net assets in securities of any type of company. <br/><br/>The Manager selects investments for the Fund based on the Manager&#8217;s assessment of which segments of the natural resources sector offer the best investment opportunities. That assessment may be based on the relative attractiveness of individual natural resources, including supply and demand fundamentals and pricing outlook. The Manager uses a combination of investment methods to identify companies and may analyze individual companies based on their financial, operational, and managerial strength and valuation. Other methods focus on patterns of information, such as price volatility of a security or groups of securities or corporate behavior of an issuer. The Manager adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as commodity type, industry, sector, country or currency. The factors considered and investment methods used by the Manager can change over time. <br/><br/>The Fund may invest in securities of any type, including without limitation, common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (REITs) and income trusts, shares of royalty trusts and master limited partnerships and fixed income securities (including fixed income securities of any maturity and below investment grade securities (commonly referred to as &#8220;junk bonds&#8221;)). The Fund may invest in the securities of companies of any market capitalization. <br/><br/>As a substitute for direct investments in securities of companies in the natural resources sector, the Fund may use exchange-traded and over-the-counter (OTC) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br/><br/>The Fund also may invest in U.S. Treasury Fund and unaffiliated money market funds.<b>Principal risks of investing in the Fund </b>0.16180.15980.11090.15830.16350.15830.00550.00390.00510.1320.00650.1322008-12-122008-12-122008-12-122008-12-122008-12-122008-12-12The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221; <ul type ="square"><li>Natural Resources Risk &#8211; By concentrating its investments in the natural resources sector, the Fund is particularly exposed to adverse developments, including adverse price movements, affecting issuers in that sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector may be more volatile than securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over supplies or for the products they sell and that can affect their profitability. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by events relating to international political and economic developments, government regulations, energy conservation, and the success of exploration projects. Because the Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.</li></ul><ul type ="square"><li>Commodities Risk &#8211; Commodities prices can be extremely volatile and exposure to commodities can cause the net asset value of the Fund&#8217;s shares to decline and fluctuate more than if the Fund had a broader range of investments.</li></ul><ul type ="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type ="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. In particular, the Fund is subject to the risk that the Manager will identify a segment of the natural resources sector that will appreciate but that the Fund will not be able to benefit from that appreciation because the Manager is not able to gain exposure to that segment or because the Manager invests in companies whose security valuations do not correlate with that segment of the natural resources sector. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. </li></ul><ul type ="square"><li> Focused Investment Risk &#8211; Focusing investments in sectors and industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated. The Fund&#8217;s concentration in the natural resources sector makes the Fund&#8217;s net asset value particularly susceptible to economic, market, political, and other developments affecting the natural resources sector.</li></ul><ul type ="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. </li></ul><ul type ="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul><ul type ="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type ="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type ="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines. </li></ul><ul type ="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. </li></ul><ul type ="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type ="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type ="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing the Fund&#8217;s annual total returns for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the MSCI ACWI and the MSCI ACWI Commodity Producers. Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart. Returns in the table reflect current purchase premiums and redemption fees. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.-0.008-0.008-0.008-0.008-0.008<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOForeignFund column period compact * ~</div>
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0.00330.00330.00330.0033<div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesGMOForeignSmallCompaniesFund column period compact * ~</div>
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0.00020.00020.00020.00020.0050.00460.00440.0041<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOForeignSmallCompaniesFund column period compact * ~</div>
-0.0002-0.0002-0.0002-0.00020.00480.00440.00420.0039<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOForeignSmallCompaniesFund column period compact * ~</div>
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0.28840.1024June 30, 20140.11891.190.20410.0395-0.44220.73060.2484-0.13450.1162<b>If you sell your shares</b><b>If you do not sell your shares</b><b>Annual Total Returns</b>/Class III Shares<br/>Year Ending December 31Many factors can affect this value, and you may lose money by investing in the Fund.0.103The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20120.09640.09150.06310.01960.1613The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.494543400.10990.1050.09070.03290.1725158146139130278256244228626577553516<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOTaiwanFund column period compact * ~</div>
Purchase premiums and redemption fees are not reflected in the bar chart, but are reflected in the table; as a result, the returns in the table are lower than the returns in the bar chart.<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOTaiwanFund column period compact * ~</div>
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Returns in the table reflect current purchase premiums and redemption fees.Year-to-Date2013-03-31-0.0279Highest Quarter:2009-06-300.319<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGMOTaiwanFundBarChart column period compact * ~</div>
Lowest Quarter:2008-12-31-0.30549454340<div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGMOTaiwanFund column period compact * ~</div>
158139146130278256244228626577553516-0.0276-0.0335-0.0223-0.0056After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary.-0.0090.12740.0601-0.24120.19850.05470.11750.12<div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesGMOEmergingDomesticOpportunitiesFund column period compact * ~</div>
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June 30, 20140.47<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOEmergingDomesticOpportunitiesFund column period compact * ~</div>
Many factors can affect this value, and you may lose money by investing in the Fund.<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOEmergingDomesticOpportunitiesFund column period compact * ~</div>
June 30, 2014The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.0.51<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGMOEmergingDomesticOpportunitiesFundBarChart column period compact * ~</div>
Past performance (before and after taxes) is not an indication of future performance.Year-to-Date2013-03-31<div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGMOEmergingDomesticOpportunitiesFund column period compact * ~</div>
0.1043Highest Quarter:2010-09-300.1153Lowest Quarter:After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.2008-12-31-0.1313Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class III shares only; after-tax returns for other classes will vary.<b>If you sell your shares</b><b>If you do not sell your shares</b>Year-to-Date2013-03-310.1738Lowest Quarter:The Fund has a fundamental policy to concentrate its investments in the natural resources sector, and, under normal market conditions, the Fund invests at least 80% of its assets in the securities of companies in that sector.2004-02-062004-02-062004-02-062004-02-062004-02-062004-02-062006-12-082006-12-082006-12-082006-12-08Many factors can affect this value, and you may lose money by investing in the Fund.Highest Quarter:0.70132009-06-300.20740.26590.39712009-03-310.2972-0.24040.3658-0.5510.7059The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.0.2051-0.1710.1621After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.0.120.10250.09810.160.11990.160.12070.160.12050.16Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).0.03720.03220.03190.01660.03770.01660.03790.01660.01660.03820.02380.04340.02380.04310.04650.04420.04650.03770.03930.0439<b>GMO SHORT-DURATION COLLATERAL FUND </b>-0.0138<b>Investment objective </b>Total return comparable to that of its benchmark, the J.P. Morgan U.S. 3 Month Cash Index.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.Highest Quarter: 8.49% (1Q2012)<br/>Lowest Quarter: &#8211;9.50% (2Q2012)<br/>Year-to-Date (as of 3/31/13): &#8211;3.38%<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs, such as commissions, when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended February 28, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 0% of the average value of its portfolio.<b>Principal investment strategies </b>The Fund is not pursuing an active investment program and is gradually liquidating its portfolio. <br /><br />The Fund primarily holds asset-backed securities, including, but not limited to, securities backed by pools of residential and commercial mortgages, credit-card receivables, home equity loans, automobile loans, educational loans, corporate and sovereign bonds and bank loans made to corporations. In addition, the Fund holds government securities, corporate debt securities and money market instruments. The Fund also may invest in unaffiliated money market funds. <br /><br />Because of the deterioration in credit markets that became acute in 2008, the Fund currently has and is expected to continue to have material exposure to below investment grade securities. <br /><br />The Manager does not seek to maintain a specified interest rate duration for the Fund. <br /><br />Since October 2008, the Fund has declared and paid distributions when it has acquired a meaningful cash position rather than reinvesting that cash in portfolio securities. The Fund currently intends to continue this practice. A substantial portion of any such distributions could constitute a return of capital to shareholders for tax purposes. See &#8220;Distributions and Taxes&#8221; below for more information on the tax implications of such distributions.<b>Principal risks of investing in the Fund </b>Highest Quarter:2012-03-310.0849Lowest Quarter:2012-06-30-0.095Year-to-Date2013-03-31-0.0338The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more complete discussion of these risks, see &#8220;Description of Principal Risks.&#8221;<ul type="square"><li> Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer&#8217;s, guarantor&#8217;s, or obligor&#8217;s failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities. </li></ul><ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market&#8217;s uncertainty about the value of a fixed income investment (or class of fixed income investments). </li></ul><ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security. </li></ul><ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. </li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another, such as the Fund&#8217;s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans, and home equity loans), creates more risk than if the Fund&#8217;s investments were less correlated. </li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. </li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, credit risk, and counterparty risk. </li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations. </li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. </li></ul><ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments. </li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations. </li></ul><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). Past performance (before and after taxes) is not an indication of future performance.<b>Annual Total Returns</b><br/>Years Ending December 31Highest Quarter: 9.78% (2Q2009)<br />Lowest Quarter: &#8211;15.22% (4Q2008) <br />Year-to-Date (as of 3/31/13): 4.87%<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20120<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOQualityFund column period compact * ~</div>
0.00030.0003<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOQualityFund column period compact * ~</div>
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<div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGMOQualityFund column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesGMOTaiwanFund column period compact * ~</div>
181537June 30, 2014181537Many factors can affect this value, and you may lose money by investing in the Fund.The Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<b>GMO EMERGING COUNTRY DEBT FUND</b>Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).<b>Investment objective</b>Total return in excess of that of its benchmark, the J.P. Morgan EMBI Global.<b>Fees and expenses</b><b>GMO DEVELOPED WORLD STOCK FUND </b><b>Investment objective </b>High total return.The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Fees and expenses </b>0.02320.01980.0357The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.0556<b>Shareholder fees</b><br/>(fees paid directly from your investment)0.0183-0.19270.2520.1014<b>Shareholder fees </b><br/>(fees paid directly from your investment)-0.01080.15710.0050.0050.15710.15250.10190.00820.04970.04210.03210.01450.040.03030.02250.02420.03950.02980.02550.0241-0.0025-0.00252002-11-262002-11-262002-11-262002-11-260.00350.0035June 30, 2014